An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (Q300037): Difference between revisions
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| Property / author: M. Dambrine / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / zbMATH DE Number: 6597115 / rank | |||
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scenarios | |||
| Property / zbMATH Keywords: scenarios / rank | |||
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OR in banking | |||
| Property / zbMATH Keywords: OR in banking / rank | |||
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finance | |||
| Property / zbMATH Keywords: finance / rank | |||
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stochastic programming | |||
| Property / zbMATH Keywords: stochastic programming / rank | |||
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Revision as of 21:42, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for moment-matching scenario generation with application to financial portfolio optimisation |
scientific article |
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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (English)
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23 June 2016
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scenarios
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OR in banking
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finance
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stochastic programming
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